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A formula for the value of a stochastic game
Luc Attia1, Miquel Oliu-Barton2
1Centre de Mathématiques Appliquées, École Polytechnique, 91128 Palaiseau, France.
Abstract:
In 1953, Lloyd Shapley defined the model of stochastic games, which were the first general dynamic model of a game to be defined, and proved that competitive stochastic games have a discounted value. In 1982, Jean-François Mertens and Abraham Neyman proved that competitive stochastic games admit a robust solution concept, the value, which is equal to the limit of the discounted values as the discount rate goes to 0. Both contributions were published in PNAS. In the present paper, we provide a tractable formula for the value of competitive stochastic games.
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